Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchanges

R Östermark

Omega, 1991, vol. 19, issue 4, 223-234

Abstract: In the paper the Capital Asset Pricing Models of two Scandinavian Stock Markets are compared. With Finnish Stock data, a lower coefficient of determination is obtained than with Swedish Stock data. With Swedish data, the explanatory power of the squared beta and standard error components is markedly better. In so far as the sign of the regression coefficients is concerned, the Finnish models show a better correspondence with international evidence on the maifunctioning of the CAPM. With Swedish data, the coefficients are fairly close to those obtained with multiple factor models in the US-stock market. The finding suggests that the standard CAPM is unable to exhaustively represent the economic forces of capital asset pricing, especially in Sweden.

Keywords: CAPM; Scandinavian; stock; markets (search for similar items in EconPapers)
Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0305-0483(91)90041-Q
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:19:y:1991:i:4:p:223-234

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu ().